Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0071 |
| Annualized Std Dev | 0.1501 |
| Annualized Sharpe (Rf=0%) | -0.0473 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1144 |
| Quartile 1 | -0.0035 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0040 |
| Maximum | 0.1515 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0095 |
| Skewness | 0.3323 |
| Kurtosis | 37.5324 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0068 |
| Gain Deviation | 0.0075 |
| Loss Deviation | 0.0081 |
| Downside Deviation (MAR=210%) | 0.0118 |
| Downside Deviation (Rf=0%) | 0.0068 |
| Downside Deviation (0%) | 0.0068 |
| Maximum Drawdown | 0.5392 |
| Historical VaR (95%) | -0.0122 |
| Historical ES (95%) | -0.0221 |
| Modified VaR (95%) | -0.0075 |
| Modified ES (95%) | -0.0075 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-01-12 | 2008-10-10 | 2012-11-29 | -0.5392 | 3494 | 2453 | 1041 |
| 2012-12-07 | 2020-03-23 | NA | -0.3521 | 2085 | 1834 | NA |
| 1999-01-05 | 1999-01-05 | 1999-01-06 | -0.0039 | 2 | 1 | 1 |
| 2012-12-04 | 2012-12-04 | 2012-12-06 | -0.0031 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -0.4 | 0.4 | 0 | -0.8 | -1.3 | -0.4 | 0.9 | 0 | 0 | 0 | -0.3 | 1.1 | -0.8 |
| 2000 | 0.3 | -0.5 | 1.6 | -0.5 | 1.5 | 1.5 | 0 | -0.5 | -0.5 | 1.5 | 1.4 | 1.4 | 7.4 |
| 2001 | -1.2 | 0.5 | 1.1 | -0.1 | 0.3 | 0.1 | -0.1 | 0.5 | 0.8 | 0.9 | -0.3 | 0.3 | 2.9 |
| 2002 | -0.1 | 0 | 0.3 | 0.6 | 0.8 | 1.2 | 0.9 | 0.6 | -0.3 | 0 | 0.1 | 0.9 | 5.1 |
| 2003 | 0.3 | 0 | 0.3 | 0.4 | 0.2 | 0.5 | 0.2 | 0.6 | 0.3 | 0.1 | -0.3 | 0.5 | 3.1 |
| 2004 | 0.4 | 0.5 | -0.1 | 1.3 | -0.8 | 1.2 | 0.9 | -0.2 | -0.1 | 0.2 | 0.6 | 0.6 | 4.8 |
| 2005 | 0.1 | 0.2 | 0.8 | 0.2 | 0.3 | 0.1 | -0.9 | 0.9 | 0.3 | 0 | -0.3 | 0 | 1.8 |
| 2006 | 0.5 | -0.7 | -0.2 | -0.6 | 0.4 | 0.7 | 0.1 | 0.8 | 0 | 0.7 | 1.4 | 0.6 | 3.8 |
| 2007 | 0.3 | 0.3 | -0.1 | -0.3 | -0.3 | 0.4 | 0.1 | -0.2 | 0.1 | 0.1 | 0.2 | 0.3 | 0.9 |
| 2008 | -0.1 | -1.8 | 0.4 | 0.4 | -0.9 | 0.7 | 0 | 0.3 | -0.1 | -2.9 | -1.2 | 1.6 | -3.6 |
| 2009 | -3.3 | -0.1 | 1.5 | 0.9 | -0.8 | 1.1 | 0.5 | 0.1 | 0.2 | -1.4 | 0.6 | 0 | -0.9 |
| 2010 | -0.1 | -0.3 | -0.3 | 0.2 | -0.3 | -0.2 | 0 | 0 | -0.2 | 0.9 | -2 | 1.5 | -0.8 |
| 2011 | 0.5 | 0.7 | 0.5 | 0.5 | 0 | 0.6 | 1.8 | -0.6 | 0.5 | 0.4 | 0.4 | 0.3 | 5.8 |
| 2012 | 0.7 | -0.2 | -0.1 | 0.5 | -0.3 | 0.9 | -0.9 | -0.2 | 0.2 | 0.1 | 0.7 | 0.1 | 1.4 |
| 2013 | -0.2 | 0.1 | -0.3 | 0.6 | -2.2 | 0.9 | -1.2 | -0.2 | 0 | -1.3 | 0.2 | 0.5 | -3.2 |
| 2014 | 1.2 | -0.2 | -0.1 | 0.1 | -0.4 | 0 | 0.9 | -0.1 | 0.6 | -0.4 | 0.1 | -0.6 | 1.3 |
| 2015 | 0.3 | 0.6 | -0.1 | -1 | 1.1 | -0.5 | 0.9 | 0.4 | 0.2 | 0.7 | 0.3 | 0.7 | 3.6 |
| 2016 | 0.5 | -0.1 | 0.4 | 0.5 | 1.1 | 0.1 | -0.2 | 0 | 0.1 | 0.6 | -0.9 | 0.5 | 2.5 |
| 2017 | -0.8 | -0.4 | -0.3 | 0.8 | 0.6 | 0.1 | 0.5 | 0.3 | -0.1 | 0.5 | 0.4 | -0.4 | 1.3 |
| 2018 | 0.4 | -0.4 | 0.6 | 0.4 | -0.1 | 0.2 | 0.1 | 0.2 | -0.2 | -0.3 | -0.2 | 0.4 | 1 |
| 2019 | 0.3 | 0.2 | -0.1 | 0.5 | 0.5 | -0.4 | 0.4 | 0.1 | -0.1 | 0 | 0.4 | -0.1 | 1.5 |
| 2020 | 0.4 | -0.5 | -3.1 | 0.9 | 0.2 | 0.5 | 0.8 | 0.3 | 0.1 | 0.8 | 0.1 | 1.3 | 1.9 |
| 2021 | 0.3 | 0.1 | -0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
